Pack Strategy Support:

It is possible to calculate a synthetic pack price and compare it to the exchange-traded instrument. For example, the symbol for a 3-month Class III Milk Pack for January 2008 is DCF8:3M. The formula to compute this synthetically based on the bid/ask of the Jan, Feb and Mar '07 futures contracts would be:

DCF8@NC/3+DCG8@NC/3+DCH8@NC/3

Note that the @NC qualifier is utilized becaus ethis pack is quoted by the exchange as the average of the net change from the previous trading session. The @NC qulaifier substitutes the net change for the last, bid or ask price in the calculation. This allows the user to directly compare the last, bid and offer of the exchange-traded instrument against the aggregate last/bid/ask of the individual legs. If the bid/sk is better for the outright futures contracts, the user can attempt to leg into the pack using the Spread Legger functionality.

If the user prefers to look at the pac quotes as the average of the prices, rather than the average of the net change, he can use the ~ as follows:

DCF8~3M

This will show the 3-month pack for Class III Milk according to the average price of the three months. However, when the user goes to place an order, the price is automatically converted to the equivalent average net change so that it is accepted and properly priced by the exchange.